Asymptotic variance estimation in multivariate distributions

A version of an asymptotic estimation problem of the unknown variance in a multivariate location-scale parameter family is studied under a general loss function. The asymptotic inadmissibility of the traditional estimator is established. In a particular case we derive an admissible improvement on this estimator.

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Year of publication:	1991
Authors:	Rukhin, Andrew L.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 38.1991, 2, p. 366-384
Publisher:	Elsevier
Keywords:	Variance estimation quadratic polynomial in normal means generalized Bayes estimator Brewster-Zidek estimator admissibility

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005221417